Upper Counterfactual Confidence Bounds: a New Optimism Principle for Contextual Bandits

• Main Authors: Xu, Yunbei, Zeevi, Assaf
• Format: Journal Article
• Language: English
• Published: 15.07.2020
• Subjects: Computer Science - Learning; Mathematics - Statistics Theory; Statistics - Machine Learning; Statistics - Theory
• DOI: 10.48550/arxiv.2007.07876

The principle of optimism in the face of uncertainty is one of the most widely used and successful ideas in multi-armed bandits and reinforcement learning. However, existing optimistic algorithms (primarily UCB and its variants) often struggle to deal with general function classes and large context spaces. In this paper, we study general contextual bandits with an offline regression oracle and propose a simple, generic principle to design optimistic algorithms, dubbed "Upper Counterfactual Confidence Bounds" (UCCB). The key innovation of UCCB is building confidence bounds in policy space, rather than in action space as is done in UCB. We demonstrate that these algorithms are provably optimal and computationally efficient in handling general function classes and large context spaces. Furthermore, we illustrate that the UCCB principle can be seamlessly extended to infinite-action general contextual bandits, provide the first solutions to these settings when employing an offline regression oracle.